Interpolating log-determinant and trace of the powers of matrix A+ tB

DOI10.1007/S11222-022-10173-4zbMATH Open1499.62010arXiv2009.07385OpenAlexW4308697138MaRDI QIDQ2103995FDOQ2103995

Shawn C. Shadden, Siavash Ameli

Publication date: 9 December 2022

Published in: Statistics and Computing (Search for Journal in Brave)

Abstract: We develop heuristic interpolation methods for the functions $tmapstologdetleft(mathbfA+tmathbfBight)$ and $tmapstooperatornametraceleft((mathbfA+tmathbfB{)}^{p}ight)$ where the matrices $mathbfA$ and $mathbfB$ are Hermitian and positive (semi) definite and $p$ and $t$ are real variables. These functions are featured in many applications in statistics, machine learning, and computational physics. The presented interpolation functions are based on the modification of sharp bounds for these functions. We demonstrate the accuracy and performance of the proposed method with numerical examples, namely, the marginal maximum likelihood estimation for Gaussian process regression and the estimation of the regularization parameter of ridge regression with the generalized cross-validation method.

Full work available at URL: https://arxiv.org/abs/2009.07385

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zbMATH Keywords

parameter estimationGaussian processmaximum likelihood methodgeneralized cross-validationSchatten normanti-norm

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Numerical smoothing, curve fitting (65D10) Numerical linear algebra (65F99) Determinants, permanents, traces, other special matrix functions (15A15)

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Cited In (2)

• Interpolating log-determinant and trace of the powers of matrix \(\mathbf{A}+ t\mathbf{B}\)
• A singular woodbury and pseudo-determinant matrix identities and application to Gaussian process regression

Uses Software

• CSparse
• IMATE
• GLearn

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